Randomized and backward SDE representation for optimal control of non-Markovian SDEs

DOI10.1214/14-AAP1045zbMath1322.60087arXiv1310.6943OpenAlexW1543184592MaRDI QIDQ2354894

Marco Fuhrman, Huyên Pham

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6943

zbMATH Keywords

backward stochastic differential equationsoptimal stochastic controlrandomized controlsdominated measuresnon-Markovian controlled stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (14)

Backward SDE representation for stochastic control problems with nondominated controlled intensity ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Mean-field stochastic control with elephant memory in finite and infinite time horizon ⋮ Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes ⋮ Strong-viscosity solutions: classical and path-dependent PDEs ⋮ Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE ⋮ Feynman-Kac representation of fully nonlinear PDEs and applications

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